English, Article, Journal or magazine article edition: Value-at-Risk for long and short trading positions: The case of the Athens Stock Exchange Panayiotis Diamandis; Georgios Kouretas; Leonidas Zarangas

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Bookmark: http://trove.nla.gov.au/version/139096
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Value-at-Risk for long and short trading positions: The case of the Athens Stock Exchange
Author
  • Panayiotis Diamandis
  • Georgios Kouretas
  • Leonidas Zarangas
Physical Description
  • preprint
Notes
  • This paper provides Value-at-Risk estimates for daily stock returns with the application of various parametric univariate models that belong to the class of ARCH models which are based on the skewed Student distribution. We use daily data for three stock indexes of the Athens Stock Exchange (ASE) and three stocks of Greek companies listed in the ASE. We conduct our analysis with the adoption of the methodology suggested by Giot and Laurent (2003). Therefore, we estimate an APARCH model based on the skewed Student distribution to fully take into account the fat left and right tails of the returns distribution. We show that the estimated VaR for traders having both long and short positions in the Athens Stock Exchange is more accurately modeled by a skewed Student APARCH model that by a normal or Student distributions.
  • Value-at-Risk, risk management, APARCH models, skewed Student distribution
  • RePEc:crt:wpaper:0601
Language
  • English
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